Portfolio Optimization in R
AbstractWe consider the problem of finding the efficient frontier associated with the risk-return portfolio optimization model. We derive the analytical expression of the efficient frontier for a portfolio of N risky assets, and for the case when a risk-free asset is added to the model. Also, we provide an R implementation, and we discuss in detail a numerical example of a portfolio of several risky common stocks.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1307.0450.
Date of creation: Jul 2013
Date of revision: Nov 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-05 (All new papers)
- NEP-CMP-2013-07-05 (Computational Economics)
- NEP-RMG-2013-07-05 (Risk Management)
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